FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (Q5010074)
From MaRDI portal
scientific article; zbMATH DE number 7384602
Language | Label | Description | Also known as |
---|---|---|---|
English | FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK |
scientific article; zbMATH DE number 7384602 |
Statements
FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (English)
0 references
24 August 2021
0 references
normal tempered stable distribution
0 references
factor copula model
0 references
collateralized debt obligation
0 references
credit derivatives
0 references
0 references